Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Contango"”.
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Market Conditions and the Functioning of Metal Futures Markets
… distinct market conditions: backwardation and contango, which are directly linked to market fundamentals such as inventory levels and thus influence the price dynamics and functioning of the commodity futures market. While there exists a large body of research in the area of commodity …
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On commodity trading strategies: momentum, term structure, maturity, indexation
… strategies buy backwardated contracts and sell contangoed contracts. Testing the direct implication of this behavior, the strategy of buying the most backwardated and selling the most contangoed commodities is examined. With significant annualized alphas of 10.14% and 12.66% respectively the …
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Essays on the empirical analysis of energy risk
… market conditions, such as backwardation and contango, involve different dynamics. The first empirical part examines the very short-end of the futures curve volatility. To address in a realistic way the potential diverse response of oil volatility to fundamentals across high and low volatility …
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… are more sensitive when market is in contango while crude oil futures participants are more sensitive in backwardation. Finally, we study the market microstructure of TOCOM by analysing the determinants of bid-ask spread components, and examine the asymmetric impact of sell-initiated …
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Asset valuation in dry bulk shipping
… of a bias in the FFA rates in the form of “contango” but also of both a strong momentum effect and significant predictability of risk premia by price-based signals and economic variables reflecting physical market conditions. The evidence of bias is further supported by the results of three …
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You can't squeeze blood out of a turnip: misconceptions of commodity investments and their disappointing returns
This thesis examines questions about long-only commodity investment performance compared to underlying commodity performance. Recent returns have been nothing short of disappointing to investors. A divergence in price has developed between some commodity funds and the observed price of the …